Improving long short-term memory (LSTM) networks for arbitrage spread forecasting: integrating cuckoo and zebra algorithms in chaotic mapping space for enhanced accuracy. [PDF]
PeerJ Comput SciZhu M +9 more
europepmc +1 more source
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Forecasting of virtual power plant generating and energy arbitrage economics in the electricity market using machine learning approach. [PDF]
Sci RepSarathkumar TV +5 more
europepmc +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Research on Regional Variations in Potato Price Fluctuations and Inter-Regional Transmission Mechanisms in China. [PDF]
FoodsLu H, Li T, Hao R, Liu Z, Gao M, Chen J.
europepmc +1 more source
Stock Index Spot-Futures Arbitrage Prediction Using Machine Learning Models. [PDF]
Entropy (Basel), 2022 Sheng Y, Ma D.
europepmc +1 more source
Arbitrage: A Critique of the Political Economy of Finance
, 2019 Carolyn Hardin
openalex +1 more source
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
An LSTM-based optimization algorithm for enhancing quantitative arbitrage trading. [PDF]
PeerJ Comput SciHan G, Li H.
europepmc +1 more source
Investor Sentiment, Arbitrage Constraints and Stock Return Synchronicity
, 2010 Ferdinand A. Gul, G. Mujtaba Mian
openalex +1 more source